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Using Volume Profiles and Session Ranges to Map Trading Levels

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Summary

This indicator script combines an approximate volume profile with intraday session analysis. It bins the observed price range, estimates bullish and bearish volume at each bin from bar closes and volumes, and identifies a point of control. It also calculates and plots value-area boundaries, frequently touched price levels, and single-print areas. Separate routines mark the Asian session, an opening-range interval, and an imbalance range, with ATR used to position some chart labels.

The output is primarily a visual map of historical activity and session highs and lows; the document does not define a complete entry, exit, or risk-management strategy. Its volume allocation assigns whole-bar volume based on closing price, so it is not a precise reconstruction of volume traded at each price. Several settings and time windows are configurable, and the lengthy code contains platform-specific constructs. No backtest or evidence of predictive performance is provided, so plotted levels should not be assumed to forecast price behavior.

Key ideas

  • The script estimates a volume profile by assigning bar volume to price bins based on closing prices.
  • It marks the point of control, value-area boundaries, and levels with repeated price touches.
  • Session routines plot Asian-session and opening-range highs and lows.
  • The volume allocation is an approximation rather than trade-level volume at price.
  • The indicator supplies chart context but no tested trading rules or performance evidence.

Tags

Technical indicatorsMarket microstructureVolatilityBreakout

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.